Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0042 |
| Annualized Std Dev | 0.0987 |
| Annualized Sharpe (Rf=0%) | 0.0429 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3302.0000 |
| NAs | 1.0000 |
| Minimum | -0.0842 |
| Quartile 1 | -0.0019 |
| Median | 0.0003 |
| Arithmetic Mean | 0.0000 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0021 |
| Maximum | 0.1086 |
| SE Mean | 0.0001 |
| LCL Mean (0.95) | -0.0002 |
| UCL Mean (0.95) | 0.0002 |
| Variance | 0.0000 |
| Stdev | 0.0062 |
| Skewness | 0.3520 |
| Kurtosis | 66.8494 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0045 |
| Gain Deviation | 0.0051 |
| Loss Deviation | 0.0057 |
| Downside Deviation (MAR=210%) | 0.0100 |
| Downside Deviation (Rf=0%) | 0.0045 |
| Downside Deviation (0%) | 0.0045 |
| Maximum Drawdown | 0.3130 |
| Historical VaR (95%) | -0.0071 |
| Historical ES (95%) | -0.0144 |
| Modified VaR (95%) | -0.0012 |
| Modified ES (95%) | -0.0012 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2008-01-24 | 2008-12-15 | 2012-11-07 | -0.3130 | 1195 | 214 | 981 |
| 2020-03-10 | 2020-03-19 | 2021-02-08 | -0.2359 | 232 | 8 | 224 |
| 2012-12-03 | 2013-09-03 | 2016-06-15 | -0.1908 | 890 | 189 | 701 |
| 2016-07-08 | 2016-12-01 | 2019-08-09 | -0.1163 | 778 | 103 | 675 |
| 2021-02-12 | 2021-03-05 | NA | -0.0382 | 26 | 15 | NA |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2008 | 0.1 | -2.9 | -0.7 | 0 | -0.1 | 0.6 | 0.6 | -0.1 | -1.5 | 0.2 | -5.3 | -0.2 | -9 |
| 2009 | -1 | 0.5 | -0.1 | -0.8 | -3.3 | 0.9 | 0.2 | 0.4 | 0.2 | -0.1 | -0.1 | 0 | -3.2 |
| 2010 | -0.2 | -0.2 | -0.4 | 0 | -0.6 | -0.6 | 0.2 | -0.5 | -0.8 | -0.4 | -0.7 | 0.2 | -4 |
| 2011 | -0.8 | -0.4 | 0.1 | 0.1 | -0.1 | -0.7 | 0.3 | 0.1 | 0.1 | 0.7 | -0.3 | 0.1 | -0.7 |
| 2012 | -0.5 | -0.9 | -0.1 | -0.4 | -0.2 | -0.3 | -0.4 | 0 | -0.2 | -0.4 | 0.4 | 0.1 | -2.9 |
| 2013 | -0.1 | -0.4 | -0.3 | 0 | -0.6 | -0.5 | -0.8 | 0.5 | -0.9 | -0.9 | 0 | 0.4 | -3.6 |
| 2014 | 0.2 | 0.1 | -0.5 | -0.1 | 0.1 | -0.5 | -0.1 | -0.4 | 0.2 | -0.3 | -0.1 | 0.3 | -1.2 |
| 2015 | 0.6 | 0.5 | -0.3 | -1 | -0.4 | -0.3 | 0.3 | -0.2 | -0.3 | 0.1 | 0 | 0.3 | -0.6 |
| 2016 | -0.6 | -0.6 | -0.1 | 0.2 | 0 | -0.2 | -0.7 | -0.1 | -0.1 | -0.5 | -1 | 0.9 | -2.9 |
| 2017 | -0.5 | -0.8 | 0.2 | -0.3 | -0.3 | 0.1 | 0.1 | -0.5 | 0.2 | -0.1 | 0.4 | 0.1 | -1.5 |
| 2018 | -0.7 | 0.1 | 0.6 | 0 | -0.4 | 0.2 | -0.5 | -0.1 | -0.3 | -0.5 | 0.2 | 0.3 | -1.1 |
| 2019 | -0.4 | -0.4 | -0.5 | -0.1 | 0.5 | -0.3 | 0.1 | 0 | -0.2 | -0.4 | -0.3 | -0.3 | -2.3 |
| 2020 | 0.2 | -0.3 | -5.4 | 0.7 | -0.6 | 0 | -0.3 | 0.1 | -0.2 | 0 | 0.2 | -0.2 | -5.8 |
| 2021 | -0.2 | -0.3 | -0.1 | NA | NA | NA | NA | NA | NA | NA | NA | NA | -0.5 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2008-01-07 20.1 SPY 141. -0.0008 -0.0415 -0.0512 -0.0941 0.0046 0.189 0.546 GLD 84.8 -0.0042 0.0213
2 2008-01-08 20.1 SPY 139. -0.0161 -0.0499 -0.0797 -0.104 -0.0161 0.177 0.494 GLD 86.8 0.0237 0.0524
3 2008-01-16 20.3 SPY 137. -0.0086 -0.0242 -0.0692 -0.109 -0.0422 0.165 0.468 GLD 86.7 -0.0147 0.0017
4 2008-01-23 20.4 SPY 134. 0.024 -0.0312 -0.0881 -0.111 -0.0626 0.139 0.500 GLD 87.9 -0.0032 -0.0011
5 2008-01-24 20.2 SPY 135. 0.0084 -0.0145 -0.0887 -0.110 -0.0622 0.156 0.531 GLD 90.1 0.0249 0.039
6 2008-01-25 20.1 SPY 133. -0.0144 -0.00290 -0.108 -0.122 -0.0648 0.142 0.500 GLD 90.3 0.00240 0.0439
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
